AN APPLICATION THE PORTFOLIO THEORY AND THE CAPITAL ASSETS PRICING MODEL TO EVALUATION AGRICULTURAL RISK
Journal Title: Zagadnienia Ekonomiki Rolnej - Year 2012, Vol 333, Issue 4
Abstract
In the paper, an attempt to application, known from finance literature The Portfolio Theory and based on it mathematical models has been undertaken. Using Sharp’s single-factor model the beta coefficients for specified crops were calculated. The beta coefficients describe the volatility of a crop in relation to the volatility of the other crops and indicate the possibilities of using production diversification as a strategy of risk management in farms. In the second part of the paper, the Capital Assets Pricing Model (CAPM) was used to estimate the value of expected gross margins, which can to guarantee a positive return from risk cost. The results of CAPM indicates, that in Poland the most popular cereals are underestimated in the terms of risk cost. The diversification of plant production can reduce the total production risk only in a limited range.
Authors and Affiliations
Piotr Sulewski
Keywords
Related Articles
- EP ID EP68295
- DOI -
- Views 41
- Downloads 0
UNIT COSTS OF AND INCOME FROM SELECTED PRODUCTS IN 2013 – RESEARCH RESULTS IN THE AGROKOSZTY SYSTEM
In 2013, the research covered: winter wheat, winter rye, spring barley, winter rape and live pigs. Results of activities were analysed at farms running small-, medium- and large-scale production. Although the production...
REGISTRATION OF FARM TRACTORS IN POLAND IN 2015
The paper presents registration of farm tractors in Poland in 2015 on the basis of the number of registered vehicles in the Central Register of Vehicles and Drivers (CEPiK). Data provided by the Polish Chamber of Commerc...
THE IMPACT OF THE ECO-FARMS SIZE ON THEIR EFFECTIVENESS
The purpose of this study is to evaluate the effectiveness of the production resources management in the ecological farms of different size in years 2007-2009. The surveyed farms were diversified by incurred costs as wel...
CLIMATE AND INSTITUTIONAL CHANGE VERSUS EXPECTED ECONOMIC PERFORMANCE OF AGRICULTURAL HOLDINGS
Climate change, liberalisation of international trade of agricultural products and changes in the system of farms’ support result in increasing importance of the risk problem in European and Polish agriculture. It can be...
WYPOSAŻENIE W SIŁĘ POCIĄGOWĄ A WYDAJNOŚĆ PRACY W POLSKIM ROLNICTWIE
W artykule przedstawiono analizę współzależności między stanem siły pociągowej a wydajnością pracy w rolnictwie. W latach 1950-2010 zasoby siły pociągowej (żywej i mechanicznej) w rolnictwie polskim zwiększyły się o 365,...